Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0459 |
| Annualized Std Dev | 0.2062 |
| Annualized Sharpe (Rf=0%) | 0.2227 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3451.0000 |
| NAs | 1.0000 |
| Minimum | -0.1205 |
| Quartile 1 | -0.0052 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0060 |
| Maximum | 0.1268 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0130 |
| Skewness | 0.0441 |
| Kurtosis | 18.0910 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0096 |
| Loss Deviation | 0.0106 |
| Downside Deviation (MAR=210%) | 0.0139 |
| Downside Deviation (Rf=0%) | 0.0093 |
| Downside Deviation (0%) | 0.0093 |
| Maximum Drawdown | 0.5130 |
| Historical VaR (95%) | -0.0174 |
| Historical ES (95%) | -0.0310 |
| Modified VaR (95%) | -0.0162 |
| Modified ES (95%) | -0.0162 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-23 | 2009-03-09 | 2013-04-10 | -0.5130 | 1372 | 377 | 995 |
| 2020-02-19 | 2020-03-23 | NA | -0.3743 | 275 | 24 | NA |
| 2014-12-30 | 2015-09-04 | 2016-03-16 | -0.1616 | 305 | 173 | 132 |
| 2017-12-01 | 2018-02-08 | 2018-10-19 | -0.1476 | 223 | 47 | 176 |
| 2016-07-25 | 2016-11-11 | 2017-06-01 | -0.1376 | 216 | 79 | 137 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | 0.4 | 0.3 |
| 2007 | 0.4 | -0.9 | -0.4 | 0.9 | -0.7 | 0.1 | 2.3 | 0.6 | 0.4 | -2.1 | 1.8 | -1.2 | 1 |
| 2008 | 0.7 | -3.3 | 2.7 | 0.8 | -0.1 | 2.7 | -2.4 | -0.5 | 1.3 | 0.2 | -0.9 | 4.2 | 5.2 |
| 2009 | -2.6 | -1.2 | 3.4 | 2.4 | 4 | 1.3 | -0.4 | 0.5 | -1.5 | -0.2 | 1.7 | -0.9 | 6.6 |
| 2010 | 0.8 | 1.2 | 1.3 | 0.4 | -0.5 | -1.2 | -0.6 | 2.4 | 0.4 | -0.4 | 0.9 | 0.2 | 5 |
| 2011 | 1 | -0.6 | 0.1 | 0.4 | -0.8 | 1 | 0.3 | -0.5 | 0.4 | -2.3 | 0.4 | -0.1 | -0.7 |
| 2012 | 0.6 | 0.3 | 0.4 | 0.5 | 0.1 | 0.8 | -0.1 | -0.1 | -0.2 | -0.3 | 0.9 | 0.3 | 3.2 |
| 2013 | 0.5 | 0 | -0.2 | -1 | -1.1 | -1.3 | 0.7 | -0.1 | 0.6 | 0.5 | 0 | 0.1 | -1.3 |
| 2014 | 0.7 | 0.8 | -0.6 | 0.3 | 0.8 | -0.7 | 0.3 | 0.7 | 0.2 | 0.2 | -0.1 | -3.3 | -0.8 |
| 2015 | -1.8 | -0.1 | 0.4 | 0.3 | 0 | 0.4 | 1.2 | -2.5 | -0.4 | 0.5 | 0.7 | -1 | -2.2 |
| 2016 | 1.1 | -0.4 | 0.1 | 0.6 | 0.3 | 0.1 | -0.4 | -0.6 | -0.6 | -1.9 | -0.8 | -0.5 | -3.1 |
| 2017 | -1.5 | -0.6 | 0.1 | -0.7 | 1 | -0.1 | 0.5 | -0.2 | -0.2 | -0.6 | -0.3 | -0.1 | -2.7 |
| 2018 | -0.7 | -0.5 | 0.7 | -0.4 | -1.4 | -0.2 | -1.2 | -0.6 | -0.3 | -0.2 | 1.2 | 0.2 | -3.3 |
| 2019 | -0.4 | 0.2 | -0.8 | -1.1 | 0.6 | -0.3 | 1 | 0.2 | -0.3 | -0.1 | -0.1 | 0.6 | -0.5 |
| 2020 | -0.3 | -4 | -5.6 | -2.9 | 0.8 | 2.2 | 0.4 | -1.3 | 0.6 | -1.1 | 0.8 | 1.6 | -8.8 |
| 2021 | 0.5 | 2.1 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-11-07 54.7 SPY 139. 0.0038 0.006 0.0261 0.0916 0.134 0.303 0.233 GLD 62.0 0.00240 0.0299
2 2006-11-10 55.1 SPY 138. 0.0004 0.0125 0.0144 0.0876 0.121 0.315 0.226 GLD 62.5 -0.0073 0.003
3 2006-11-13 55.3 SPY 139. 0.0025 0.0036 0.0143 0.0774 0.120 0.303 0.237 GLD 62.2 -0.00480 0.00480
4 2006-11-14 55.1 SPY 140. 0.0075 0.0073 0.0203 0.0757 0.129 0.313 0.219 GLD 61.6 -0.009 -0.0066
5 2006-11-21 55.4 SPY 141. 0.001 0.0073 0.0231 0.0838 0.118 0.355 0.225 GLD 62.3 0.0081 0.0104
6 2006-11-22 55.4 SPY 141. 0.002 0.0064 0.022 0.0869 0.116 0.352 0.236 GLD 62.5 0.0037 0.0107
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
